ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES
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Publication:5483440
DOI10.1142/S0219024906003639zbMath1154.91427MaRDI QIDQ5483440
Magnus Blix, Thomas Björk, Camilla Landén
Publication date: 14 August 2006
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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Related Items (6)
Interest rate theory and geometry ⋮ In memoriam: Tomas Björk (1947--2021). On his career and beyond ⋮ Optimal portfolios in commodity futures markets ⋮ ON FINITE DIMENSIONAL REALIZATIONS OF TWO-COUNTRY INTEREST RATE MODELS ⋮ Markov models for commodity futures: theory and practice ⋮ CONSISTENT PARALLEL AND PROPORTIONAL SHIFTS IN THE TERM STRUCTURE OF FUTURES PRICES
Cites Work
- On the construction of finite dimensional realizations for nonlinear forward rate models
- Existence of invariant manifolds for stochastic equations in infinite dimension
- Interest Rate Dynamics and Consistent Forward Rate Curves
- On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
- A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
- WHEN IS THE SHORT RATE MARKOVIAN?
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